Practical computing for finite moment log-stable distributions to model financial risk

DOI10.1007/S11222-014-9478-9MaRDI QIDQ5963822zbMATHOpenAlexFDO

Authors G. K. Robinson

Publication date 23 February 2016

Published in Statistics and Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11222-014-9478-9

zbMATH Keywords

interpolationoption pricingstable distributionscomputationhedging of risk

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

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• scientific article; zbMATH DE number 1359993 (Why is no real title available?)
• scientific article; zbMATH DE number 614990 (Why is no real title available?)
• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• scientific article; zbMATH DE number 3223982 (Why is no real title available?)
• A Comedy of Errors: The Canonical Form for a Stable Characteristic Function
• A Method for Simulating Stable Random Variables
• Margrabe's option to exchange in a Paretian-stable subordinated market.
• Numerical calculation of stable densities and distribution functions
• Tables and graphs of the stable probability density functions
• The pricing of options and corporate liabilities

Cited in

(4)

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• Closed-form option pricing for exponential Lévy models: a residue approach
• Wavelets optimization method for evaluation of fractional partial differential equations: an application to financial modelling
• Fast parallel \(\alpha \)-stable distribution function evaluation and parameter estimation using OpenCL in GPGPUs

Describes a project that uses

Uses Software

• STABLE

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